No you're right, there are all sorts of VPNs available for linux users. NordVPN (IMO the best one since it has a kill switch by default, which shuts your internet off if the VPN becomes compromised) apparently accommodates linux users. I don't know what Sky is getting at, seems like their understanding of software compatibility is a little outdated. Getting software to work with linux takes a little more effort than with windows, yet all you really need is some basic familiarity with the command line and linux packaging systems. Of course, forums like this exist because it's not always straightforward and intuitive.
Also, I can testify that Proton VPN works very well for debian based systems, but i didn't want the payed version so I ended up not using it anymore.